As somebody has suggested already, play games that don't use quicksave - Far Cry perhaps, or Devil May Cry 4, something like that - or maybe try playing games on a lower difficulty, just go on a rampage and slaughter everything in your path (in the game I mean, not a real world solution sadly).
As far as the Vista thing goes, it may be connected to the way Vista 'protects' certain areas of the operating system, particularly if you are using third party software for downloading (eg torrents). It might be worth looking in the virtual store, which should be located somewhere like -
Root Drive -> users -> username -> appdata -> local -> virtual store (you need to make sure you can see hidden files in your options).
Other than that, try using the advanced search feature, making sure the search includes hidden and system files. Vista is probably sticking stuff in some obscure hidden folder, all the time telling you it's being saved to documents.